The modeling of nonlinear and time-varying dynamic processes or systems from measured output data and possibly input data is an emerging area of technology. Depending on the area of theory or application, it may be called time series analysis in statistics, system identification in engineering, longitudinal analysis in psychology, and forecasting in financial analysis.
In the past there has been the innovation of subspace system identification methods and considerable development and refinement including optimal methods for systems involving feedback, exploration of methods for nonlinear systems including bilinear systems and linear parameter varying (LPV) systems. Subspace methods can avoid iterative nonlinear parameter optimization that may not converge, and use numerically stable methods of considerable value for high order large scale systems.
In the area of time-varying and nonlinear systems there has been work undertaken, albeit without the desired results. The work undertaken was typical of the present state of the art in that rather direct extensions of linear subspace methods are used for modeling nonlinear systems. This approach expresses the past and future as linear combinations of nonlinear functions of past inputs and outputs. One consequence of such an approach is that the dimension of the past and future expand exponentially in the number of measured inputs, outputs, states, and lags of the past that are used. When using only a few of each of these variables, the dimension of the past can number over 104 or even more than 106. For typical industrial processes, the dimension of the past can easily exceed 109 or even 1012. Such extreme numbers result in inefficient exploitation and results, at best.
Other techniques use an iterative subspace approach to estimating the nonlinear terms in the model and as a result require very modest computation. The iterative approach involves a heuristic algorithm, and has been used for high accuracy model identification in the case of LPV systems with a random scheduling function, i.e. with white noise characteristics. One of the problems, however, is that in most LPV systems the scheduling function is usually determined by the particular application, and is often very non-random in character. In several modifications that have been implemented to attempt to improve the accuracy for the case of nonrandom scheduling functions, the result is that the attempted modifications did not succeed in substantially improving the modeling accuracy.
In a more general context, the general problem of identification of nonlinear systems is known as a general nonlinear canonical variate analysis (CVA) procedure. The problem was illustrated with the Lorenz attractor, a chaotic nonlinear system described by a simple nonlinear difference equation. Thus nonlinear functions of the past and future are determined to describe the state of the process that is, in turn used to express the nonlinear state equations for the system. One major difficulty in this approach is to find a feasible computational implementation since the number of required nonlinear functions of past and future expand exponentially as is well known. This difficulty has often been encountered in finding a solution to the system identification problem that applies to general nonlinear systems.
Thus, in some exemplary embodiments described below, methods and systems may be described that can achieve considerable improvement and also produce optimal results in the case where a ‘large sample’ of observations is available. In addition, the method is not ‘ad hoc’ but can involve optimal statistical methods.